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QR Energy and Commodity Data and Analytics

Energy and Commodity Data
Forward Curves with Seasonality and Trends
Short Term Price Forecasting
Stochastic Modeling and Monte Carlo Simulation
Energy and Commodity Vanilla, Exotic and Spread Option Pricing


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One single web-platform integrating market data, with high-performance analytics, covering all the needs and requirements of trading, planning, optimization and risk management.

No third party solution is required. QR Analytics are fully integrated: forward curves, stochastic models and Monte Carlo simulations of volatility and correlation. Models are audited, calibrated and executed automatically 24/7, with live data reporting. Extensive instruments coverage: spot, indices, forwards, futures, swaps, exchange traded and OTC options, derivatives, structured products, ABS, MBS.
Real-time comprehensive holistic risk valuation, reporting, visibility and data management. Market, Credit, Exposure, Cash, Liquidity, Regulatory and Treasury Risk. Lightening fast configuration in months. Leverage numerous risk analytics models and reports. Extensive multi-asset class risk: energy, commodity, fixed income, interest rates, money market, repos, debts, deposits, FX, mutual funds, stocks, indices.

Next Generation Dual-use Cloud On-site Architecture

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  • QR Energy & Commodity Data Analytics Cloud Services

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  • On-site Implementation

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  • New Commercial Paradigm

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Analytics & Curves as Cloud Services, or Implemented On-site

    Worlwide Market Coverage

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    Energy Markets: Crude oil, natural gas, LNG, fuel, refined products and derivatives, coal, chemicals, emission, weather.
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    Commodity Markets: Agricultural products, livestock, food, beverages, energy, fuel, biofuels, base and precious metals, chemicals, manufacturing of industrial and consumer goods and products.

QR Forward Curves Module

    Solutions

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    Monthly Forward Curves fitted for years forward.
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    Daily Spot Curves fitted for a few months forward.
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    Implied Volatility Curves for forwards, fitted for years forward.
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    Daily and monthly meter and load forecasting in power and gas markets.
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    Custom models. We help you create and maintain your own forward curve models with complex mathematical rules and involving other curves. E.g., when there isn't sufficient underlying data, define an index via mathematics formulas involving other base curves for which there are partial data quotes. Then point the spot, forward or load curve to the index. This is useful for illiquid physical hubs and markets in energy and commodity markets.
  • Input

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    On a daily basis, we fetch forward quotes from multiple sources. Some are liquid, some have gaps or are missing. Alternatively, you can procure and upload your own data. The forward curve model is fitted automatically on these data.
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    For load and meter forecasting we use historic meter reading, and possible forward estimated from you, if any.

QR Monte Carlo Module

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    QR Monte Carlo applies to any security type: equity, FX, interest rates, energy, commodity or any data for that matter.
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    Range of advanced 1 and 2-factor stochastic differential equation models capturing mean reversion, trend, seasonality, and stochastic volatility. Jump processes can be added or turned off. These are far more powerful than time series models or simple volatility matrix.
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    Simulate very realistic (non-flat) term structure of forward markets. The Monte Carlo engine automatically calibrates, then builds or simulates the spot and forward curves together in a coherent term structure. A Market Price of Risk is estimated for every forward position.
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    Execute in seconds, thousands of simulation scenarios for one price curve.
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    Full statistics is created via Monte Carlo simulation, with visual display of simulation paths and the full risk cone as it expands in time.
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QR Options Module

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    A unique and powerful option pricing environment allowing independent option pricing for all energy and commodity option types: European, American, Asian, and path-dependent options, across all underlying energy, commodity and FX traded instruments.
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    Single asset, spread and basket option pricing.
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    Exchange traded options.
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    Combined with our Monte Carlo simulation engine, we price options and their VaR, at the same time.
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